Evan McMullin: We're not taking anything for granted

This is a rush transcript from "Your World," October 26, 2016. This copy may not be in its final form and may be updated.

NEIL CAVUTO, HOST:  Meanwhile, back to this presidential race and what is going on, we are getting word that Mike Pence, the Republican vice presidential candidate, is going to be in Salt Lake City, Utah, making an appearance today.

Now, why Salt Lake and why Utah?  What is going on there?

Well, I think this gentleman could explain it, Evan McMullin, independent presidential candidate who, depending on the polls, is either running a tight second or outright winning that state.  That is a shocker, no matter how you put it, because that's not supposed to happen.

With us now, Evan McMullin, independent candidate for the presidency of the United States.

Evan, good to have you back.

EVAN MCMULLIN, I-PRESIDENTIAL CANDIDATE:  Nice to be with you, Neil.

Neil, I heard you say to your two former guests or your two prior guests that, if they misbehaved, you were going to deny them dinner.  I hope that is not the outcome of our discussion today.

CAVUTO:  No, I will include breakfast for you.

(LAUGHTER)

MCMULLIN:  OK.

CAVUTO:  But let me get a sense of what is going on.

Obviously, you're well-known in your state.  You're from this area, a graduate of Brigham Young.  You're Mormon, of course very popular in the state.  But it's -- to hear even those who love you to death, it's one and done here.  You don't have much pull beyond Utah.  What do you say to that?

MCMULLIN:  Well, first of all, I would say that I wasn't well-known in the state.

Yes, I was born here and I went to school here, and I have ties here.  But I wasn't -- I didn't have national name I.D. or state name I.D. here either.  We have worked very hard for that.  We are a three-month presidential campaign.  We don't have the support of a political party.  We don't have the support of major political or Republican Party donors, for example.

We are conservative independents.  And so our resources have been limited, but we have been supported by the good people of America who are looking for another option.

CAVUTO:  Well, how many state ballots are you on, Evan?  Could you update me on that?

MCMULLIN:  Yes.  We are on 11 ballots and then we're registered as a write- in, in another number.  And the total number of ballots on which we have access, either as a registered write-in or appearing directly on the ballot, is 43 states.

And so we are very excited about that.  The vast majority of Americans will be able to cast for me on Election Day, if they choose.

CAVUTO:  Do you think, though, as we look at this race, and it stays tight in your state, despite being on only 11 ballots -- and of course you could write in, in 30-some-odd other states -- that you might be the first independent candidate since George Wallace to score electoral votes, that is, of course, if you win Utah?  How likely do you think that is?

MCMULLIN:  Well, I would point out just that George Wallace was not actually an independent.  He had a party behind him.  We don't even have that.  So, that's a distinction.

But how likely is it?  Look, we're running neck and neck right now.  We're either tied statistically or just winning outright in the polls here in Utah.  I think we have got more work to be done.  We are going to be working hard here for the next two week and in the broader Mountain West especially.

We are not taking anything for granted.  We are very humbled and encouraged by the support we have such -- thus far.  But, look, there's more work to be done.  And two weeks is a long time in a race like this.

CAVUTO:  No, no, you're right about that.  But few would have seen where you are now.

I guess what I wanted to ask, though, that a lot of Mormons are gravitating to you, not just because you're a Mormons.  I don't mean to typecast you in that way, but that they have a tough time embracing Hillary Clinton.  And, given some of the language out of Mr. Trump, I'm told many of them, led by the likes of Mitt Romney, can't support him.

How much of that is helping you, that you have an electorate there, by and large, not enthusiastic about either of the main party candidates?

MCMULLIN:  Well, I would just caution people -- a lot of people in the media are asking me this question about, well, is it just the Mormon thing?

And I appreciate, Neil, what you said, that you were not trying to typecast me.  But it's more about typecasting the voters.  There are people across this country who hear our message and who are supporting us of all different races and religions and backgrounds.

CAVUTO:  But it particularly resonates in Utah.

MCMULLIN:  Well, that's because this is where we have been spending our time.

CAVUTO:  Right.

MCMULLIN:  And the reason we have been spending our time is because, here in the Mountain West, people rejected both Hillary Clinton and Donald Trump.

And that's -- our whole message is that we are having a leadership crisis in this country.  It's time for a new generation of leaders.  It's time for a new conservative movement that is actually dedicated to conservatism, to the fact that all human beings are created equal, to the cause of individual liberty, limited government, and this sort of thing.

That's what we are fighting for.  That's what resonates with people in this region and people in Utah.  But it doesn't -- you know, you can draw some connections to different faiths, even evangelicals, Mormons, Catholics, but it's just not that simple, because we have got a lot of people supporting us.

CAVUTO:  But if it means -- you know the traditional rap against third party whatever, outside the main party candidates.  They are just spoilers.  
That's how it is always seen, fairly or not, that they are -- they would hand a race to, in your case, a state that Donald Trump should win, if you continue surging, you hand it to Hillary Clinton.

That's the logic.  And you elect her president of the United States.  What do you say?

MCMULLIN:  I would just say we have got to break out of this idea that we have two major parties and that's it.

If the major parties were doing a good job of offering good, honest, wise leaders to the American people, then that would be one thing.  If they were getting the job done and effectively governing this country, that would be another.  The fact is, they are failing us.  And we need something new.  We need to open up the process.

(CROSSTALK)

CAVUTO:  Regardless of what happens, if you had your own druthers, in looking at the major party candidates -- I'm talking Hillary Clinton or Donald Trump -- who do you dislike less?

MCMULLIN:  Well, again, Neil, I got to say, I'm rejecting this idea that it has to be one or the other.  This is how we get into this mess, because we are so committed to the idea that it has to be one or the other.

CAVUTO:  I know, but you're not going to be president of the United States.  
You're not going to be elected president.

(CROSSTALK)

MCMULLIN:  But let me answer your -- well, let's let me answer your question, Neil.

The point is that both of these two candidates are big government liberals.  
That's the reality, Donald Trump too, Hillary Clinton as well.  We know this.  Donald Trump has been a big government liberal his entire life.

(CROSSTALK)

CAVUTO:  Who is more of a liberal?  Who is more of a liberal?

MCMULLIN:  Well, Donald Trump says he wants to double the size of Hillary Clinton's transportation budget, while also lowering taxes, while also raising our national debt.

So, you tell me.  This is a person in Donald Trump who has supported late- term abortions.  He's been opposed to the Second Amendment.  Look, they are cut from the same cloth.  This is how we got into this crisis, by again thinking it has got to be one or the other, in part.  And there are other things too.

We have got to stand up in this country, especially as conservatives, for what we really believe in, for the very principles that have made this country special, for the very principles that have made this country the most powerful and prosperous on Earth.

We need to reject both of these candidates.  If the race is very close, we can block them both.  If it isn't, no matter who it is, then we believe that it's time for a new conservative movement, because, either way, we are getting another big government liberal in the White House.

CAVUTO:  So, when you look at this race and what could happen, let's say Donald Trump loses, you don't make it, but Hillary Clinton wins, do you think that the Republican Party, as some have posited, they fear it, actually, goes away or crumbles, and then maybe a third party or another party or a new party emerges?  Maybe you would play a role in that.  What do you think?

MCMULLIN:  I think that's very possible, Neil.  And we will just have to wait and see how it plays out.

I know that a new conservative movement is necessary.  It may be necessary for a new party.  We need to keep in mind that even the Republican Party, it started when the Whig Party wanted to reconstitute slavery.

CAVUTO:  You're right about that.  You're right.

MCMULLIN:  And so, ironically, we find ourselves in a position here where we have a Republican nominee who enjoys the support of the white supremacist, white nationalist movement.  And he won't fully repudiate this.

He won't call -- and his running mate, Mike Pence, won't disavow the support of David Duke and say that he's deplorable, even something as basic as that.

Ironically, we find ourselves fighting over this issue, this truth that all men and women are created equal.  And if the Republican Party is going to continue to embrace a populist white nationalist message and movement, then there's no way a constitutionalist like myself and other true conservatives, who believe in the founding principles that have made this country so great, there's no way that we can be a part of that.

CAVUTO:  Evan, thank you very, very much, Evan McMullin, the independent presidential candidate.  And he could just win Utah outright.

Thank you, Evan,  Very good -- very good having you.

MCMULLIN:  Thank you, Neil.

CAVUTO:  All right.  

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